Saudi Arabian Coop Insurance Spline ILLIQ Liquidity Analysis
Liquidity prediction for Wednesday, July 15th, 2026
1 Day
4,823.12
decreased by 925.19
1 Week
5,325.78
decreased by 422.53
1 Month
5,928.70
increased by 180.39
Analysis last updated: Wednesday, July 15, 2026 at 08:36 PM UTC
News Impact Curve
How returns affect tomorrow's liquidityLiquidity Forecast
How liquidity evolves over timeParameter Estimates
Nov 12, 2007 to Jul 9, 2026Model Insight
With persistence 0.992, illiquidity shocks have a half-life of 86 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
μ
ILLIQ-SMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6586 | 3.85*** |
α ARCH Response to squared shocks | 0.2005 | 9.06*** |
β GARCH Volatility persistence | 0.7914 | 37.00*** |
Spline Coefficients
K=1
| γ1 | 0.0096 | 1.99** |
Persistence:
0.992
Half-life:
86 days
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